Where do you get the idea that Arnim Zola was "working for SHIELD" at the end of CATFA? He was in SSR custody, yes, and Col. Philips forced information out of him, but that does not imply that he was working for them. Since we haven't been shown what became of Zola after the war we don't even know where he ended up. He could have been one of the scientists whom the US government recruited, or he could as easily have escaped with the aid of his surviving HYDRA allies.

Sure he could. And I don't rule out either possibility at all. The fact is, Zola's whereabouts and situation post-CATFA are completely unknown right now, and that's exactly the way Feige & Company wants it.

Zola's going to be big. He's the ace in the hole, and that's why they're keeping him under wraps, and are perfectly happy that nobody's interested enough to ask about him or Toby Jones. The only question, that will almost definitely be answered in CATWS, is if Zola escaped/defected/spy-swapped to HYDRA or some other bad guys in the Cold War years, or if he's been in SHIELD all along. I'm betting on the latter.